| Close | |
|---|---|
| Annualized Return | 0.0726 |
| Annualized Std Dev | 0.1611 |
| Annualized Sharpe (Rf=0%) | 0.4504 |
| Close | |
|---|---|
| Observations | 5174.0000 |
| NAs | 1.0000 |
| Minimum | -0.1006 |
| Quartile 1 | -0.0044 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0053 |
| Maximum | 0.0894 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0101 |
| Skewness | -0.3413 |
| Kurtosis | 10.7620 |
| Close | |
|---|---|
| Semi Deviation | 0.0074 |
| Gain Deviation | 0.0070 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0123 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.4410 |
| Historical VaR (95%) | -0.0150 |
| Historical ES (95%) | -0.0243 |
| Modified VaR (95%) | -0.0151 |
| Modified ES (95%) | -0.0267 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2011-03-30 | -0.4410 | 832 | 312 | 520 |
| 2020-02-21 | 2020-03-23 | 2020-07-29 | -0.3319 | 111 | 22 | 89 |
| 2002-05-03 | 2003-03-10 | 2004-01-26 | -0.2559 | 436 | 214 | 222 |
| 2018-01-25 | 2018-12-24 | 2019-12-06 | -0.2172 | 471 | 231 | 240 |
| 2011-07-08 | 2011-08-10 | 2012-02-07 | -0.1322 | 148 | 24 | 124 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | 0.2 | 2.1 | 0.3 | -0.2 | 0.7 | -0.9 | 0.5 | 2.8 |
| 2001 | 1.8 | -0.4 | 1.1 | 2.7 | 0.4 | -0.6 | -0.8 | -0.2 | -0.9 | 1.7 | 0.4 | -0.4 | 5 |
| 2002 | 0.5 | 1.8 | -0.4 | 1.5 | 1 | 0 | -0.5 | 0.6 | 2.8 | 1.4 | -1.2 | -0.5 | 7 |
| 2003 | 1.2 | 0.1 | 0.2 | 0.3 | 1.8 | 0.8 | -1.1 | 0.2 | 1.6 | 0 | 0.6 | -0.4 | 5.4 |
| 2004 | 0.1 | 0.9 | 1 | 0.4 | 0.5 | -0.6 | 0.1 | 0.8 | 1.1 | 0.2 | 1.2 | -0.3 | 5.6 |
| 2005 | 0.2 | 0.8 | -0.7 | 0.3 | 0.6 | 0.1 | -0.3 | -0.6 | 0.3 | -0.5 | 0.8 | -0.5 | 0.5 |
| 2006 | 0.2 | 0.2 | -0.6 | -0.2 | 0.7 | 0 | -0.6 | 0.4 | -0.4 | -0.4 | -0.5 | -0.5 | -1.5 |
| 2007 | 0.7 | -0.1 | 0 | -0.6 | 0.2 | -0.2 | 1 | 1.2 | 0.8 | -2.9 | 0.7 | -0.9 | 0 |
| 2008 | 1.3 | -2 | 2 | 0.6 | 0.1 | 0.1 | 0.2 | -1 | 1.1 | -0.1 | -5.7 | 0.7 | -2.8 |
| 2009 | -3.6 | -0.8 | 1.7 | 0.1 | 2.2 | 1.6 | 0.3 | -1.5 | -1.7 | -1.8 | 1.4 | -1.1 | -3.2 |
| 2010 | 0.8 | 1 | 0.7 | -0.9 | -0.8 | 0.3 | 0.2 | 2 | 0.2 | -0.1 | 1.9 | 0 | 5.2 |
| 2011 | 0.6 | -1 | 0.7 | 0.2 | -1.5 | 1.1 | -0.3 | -0.7 | -1.7 | -2.3 | -0.4 | -0.3 | -5.5 |
| 2012 | 0.7 | 0.3 | 0.4 | 0.3 | -2.3 | 1.7 | -0.8 | 0.2 | 0.6 | 0.8 | 0 | 1.2 | 3.3 |
| 2013 | 0.6 | 0.2 | -0.4 | -0.6 | -1.7 | 0.9 | 1.4 | -0.3 | 0.5 | 0.2 | 0.1 | 0.1 | 1 |
| 2014 | -0.7 | 0.3 | 0.5 | -0.1 | 0.3 | 0.5 | 0.4 | 0.2 | -0.6 | 0.8 | -0.8 | -1 | -0.1 |
| 2015 | -1.9 | 0.2 | -0.2 | 0.9 | 0 | 1.2 | 0 | -2.5 | 0 | -0.5 | 0.8 | -0.9 | -3 |
| 2016 | 0.1 | 1.4 | 0.9 | 0 | 0.3 | 0.1 | -0.1 | 0 | 0.9 | -0.6 | -0.5 | -0.5 | 2 |
| 2017 | -0.4 | 0.8 | -0.2 | -0.5 | 0.8 | 0.8 | -0.3 | 0.6 | 0.1 | 0 | 0.2 | -0.1 | 1.6 |
| 2018 | -0.6 | -0.7 | 1.1 | -0.6 | 0.5 | 0.2 | -1 | -0.1 | 0.2 | 0.9 | 0.8 | 0.2 | 0.9 |
| 2019 | -0.2 | 0.2 | 0.3 | -1.2 | -1.5 | 0.6 | -1 | 0 | -0.6 | 0.3 | -0.2 | 0.1 | -3.1 |
| 2020 | -1.1 | -1.3 | -3.2 | -2.3 | 1.5 | 0.3 | -0.4 | -0.5 | 1.4 | -1.4 | 1.1 | 0.6 | -5.4 |
| 2021 | 1.9 | 2.5 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-06-16 41.4 SPY 147. -0.0082 0.00240 0.0123 0 0.094 NA NA <NA> NA NA NA
2 2000-06-19 41.1 SPY 148. 0.0128 0.0248 0.0324 0.0115 0.103 NA NA <NA> NA NA NA
3 2000-06-26 40.8 SPY 146. 0.0129 -0.015 0.0609 -0.0375 0.0969 NA NA <NA> NA NA NA
4 2000-06-27 40.9 SPY 145. -0.0074 -0.0188 0.0519 -0.0391 0.0787 NA NA <NA> NA NA NA
5 2000-07-10 41.2 SPY 148. -0.0017 0.0176 0.0064 -0.0237 0.057 NA NA <NA> NA NA NA
6 2000-07-11 40.1 SPY 148. 0.0021 0.0059 0.0107 -0.0178 0.063 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>